A location-invariant probability weighted moment estimation of the Extreme Value Index
DOI10.1080/00207160.2014.975217zbMATH Open1338.62148OpenAlexW2032733745MaRDI QIDQ2804923FDOQ2804923
Authors: Frederico Caeiro, M. Ivette Gomes, Lígia Henriques-Rodrigues 
Publication date: 6 May 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.975217
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asymptotic propertiesheavy tailsMonte Carlo simulationbootstrap methodologyextreme value indexstatistics of extremesadaptive semiparametric estimationlocation/scale-invariant estimation
Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
Cites Work
- A simple generalisation of the Hill estimator
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- Sur la distribution limite du terme maximum d'une série aléatoire
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Comparison of tail index estimators
- A simple second-order reduced bias’ tail index estimator
- Mixed moment estimator and location invariant alternatives
- Semi-parametric probability-weighted moments estimation revisited
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Semi-parametric tail inference through probability-weighted moments
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Adaptive estimation of heavy right tails: resampling-based methods in action
Cited In (12)
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Bias correction in extreme value statistics with index around zero
- Competitive estimation of the extreme value index
- A moment estimator for the conditional extreme-value index
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- Editorial: Special issue on computational statistics
- Monitoring largest extreme observations using Frechet distribution based on weighted variance method
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- A location-invariant non-positive moment-type estimator of the extreme value index
- Mean-of-order-\(p\) location-invariant extreme value index estimation
- Adaptive PORT-MVRB estimation of the extreme value index
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